降价抛售、系统性风险与银行系统稳定性  

Fire Sale,Systemic Risk and Banking System Stability

作　　者：赵业翔 周爱民 ZHAO Ye-xiang;ZHOU Ai-min(Nankai University)

机构地区：[1]南开大学金融学院,天津300350

出　　处：《当代财经》2024年第7期71-87,共17页Contemporary Finance and Economics

基　　金：国家社会科学基金青年项目“‘稳增长’与‘防风险’双重目标的理论解构、量化评估与政策应对研究”(23CJY036);国家自然科学基金青年项目“金融周期与系统性金融风险:影响机制及监控预警研究”(71903048)。

摘　　要：明晰降价抛售下的系统性风险的传染路径与银行系统稳定性的影响因素对维护国家金融安全具有重要意义。基于监管约束和个体理性,建立多分布降价抛售模型,将外部冲击、降价抛售、系统性风险和系统稳定性统一到同一理论框架中,并应用中国银行业2007—2021年的资产负债表数据,对银行业系统性风险的微观生成机制和系统稳定性的影响因素进行研究。研究发现:第一,在异质性外部冲击的作用下,中国银行业的降价抛售敏感度显著不同,小冲击下的降价抛售反应迅速,大冲击下的降价抛售反应迟缓;第二,银行业系统性风险的生成机制在异质性冲击下具有一致性,外部冲击是降价抛售的导火索,直接抛售损失和抛售传染损失是系统性风险的主要组成部分;第三,财务向上聚集度、财务向下聚集度和银行资本对银行系统稳定性有重要影响,三者之间的交互作用决定了银行系统稳定性。因此,监管部门需进一步建立动态压力系统,鼓励银行差异化经营、提升资本留存,合理引导银行抛售预期,从而提升银行系统稳定性,维护国家金融安全。Clarifying the contagious path of systemic risks and the influencing factors on the banking system stability under the fire sale is of great significance for maintaining national financial security.Based on regulatory constraints and individual rationality,this paper establishes a Multi-Distribution Fire-Sale model(MD-FS)to unify external shocks,fire sale,systemic risks,and system stability into the same theoretical framework.It also investigates the micro generation mechanism of systemic risks and the factors influencing system stability in China's banking industry with the data of the balance sheet of China's banking industry from 2007 to 2021.The findings show that,firstly,the sensitivity of China's banking industry to the fire sale is significantly different under heterogeneous external shocks.Among them,the response to the fire sale under small shocks is rapid,while the response to the fire sale under large shocks is slow.Secondly,the generation mechanism of the banking systemic risks exhibits consistency under heterogeneous shocks.The external shocks are the trigger for the fire sale,while the direct fire-sale losses and the fire-sale contagion losses are the main components of the systemic risks.Thirdly,financial upward clustering,financial downward clustering,and bank capital have a significant impact on the stability of the banking system,and their interaction determines the stability of the banking system.Therefore,the regulatory authorities need to further establish a dynamic pressure system,encourage differentiated banking operations,enhance capital retention,and reasonably guide the fire-sale expectation of banks,thereby enhancing the stability of the banking system and maintaining national financial security.

关 键 词：降价抛售 系统性风险 银行系统稳定性 多分布降价抛售模型 

分 类 号：F832[经济管理—金融学]